| Metric | SPY | AEDFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 86.58% | 21.55% |
| CAGR﹪ | 13.36% | 4.0% |
| Sharpe | 0.59 | 0.05 |
| Prob. Sharpe Ratio | 90.85% | 54.66% |
| Smart Sharpe | 0.58 | 0.05 |
| Sortino | 0.86 | 0.07 |
| Smart Sortino | 0.83 | 0.07 |
| Sortino/√2 | 0.61 | 0.05 |
| Smart Sortino/√2 | 0.59 | 0.05 |
| Omega | 1.16 | 1.2 |
| Max Drawdown | -24.5% | -6.91% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-11-01 |
| Max DD Period End | 2023-12-12 | 2023-08-25 |
| Longest DD Days | 708 | 663 |
| Volatility (ann.) | 17.2% | 4.01% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.58 |
| Skew | 0.32 | -0.39 |
| Kurtosis | 8.95 | 5.36 |
| Ulcer Performance Index | 10.24 | 13.56 |
| Risk-Adjusted Return | 13.36% | 4.94% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.95% | 0.23% |
| Avg. Loss | -0.99% | -0.24% |
| Win/Loss Ratio | 0.96 | 0.97 |
| Profit Ratio | 0.83 | 0.38 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.32% |
| Expected Yearly | 10.95% | 3.31% |
| Kelly Criterion | 6.15% | 8.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.4% |
| Expected Shortfall (cVaR) | -2.58% | -0.66% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.2 |
| Gain/Pain (1M) | 0.87 | 1.3 |
| Payoff Ratio | 0.96 | 0.97 |
| Profit Factor | 1.16 | 1.2 |
| Common Sense Ratio | 1.17 | 1.26 |
| CPC Index | 0.6 | 0.64 |
| Tail Ratio | 1.01 | 1.05 |
| Outlier Win Ratio | 3.41 | 4.71 |
| Outlier Loss Ratio | 3.77 | 3.21 |
| MTD | 1.08% | 1.37% |
| 3M | 3.82% | 2.93% |
| 6M | 19.85% | 6.03% |
| YTD | 14.3% | 5.78% |
| 1Y | 17.78% | 8.13% |
| 3Y (ann.) | 24.86% | 6.93% |
| 5Y (ann.) | 13.06% | 4.11% |
| 10Y (ann.) | 13.36% | 4.0% |
| All-time (ann.) | 13.36% | 4.0% |
| Best Day | 10.5% | 1.42% |
| Worst Day | -5.85% | -1.5% |
| Best Month | 10.51% | 2.51% |
| Worst Month | -9.24% | -2.55% |
| Best Year | 26.18% | 8.41% |
| Worst Year | -18.18% | -0.82% |
| Avg. Drawdown | -1.89% | -0.47% |
| Avg. Drawdown Days | 20 | 20 |
| Recovery Factor | 2.85 | 2.88 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.82 |
| Avg. Up Month | 4.06% | 0.86% |
| Avg. Down Month | -4.46% | -0.77% |
| Win Days | 54.04% | 55.22% |
| Win Month | 63.93% | 68.85% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.14 |
| Alpha | - | 0.02 |
| Correlation | - | 58.86% |
| Treynor Ratio | - | 157.23% |
| Year | SPY | AEDFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.72 | -0.10 | - |
| 2022 | -18.18 | -0.82 | 0.04 | + |
| 2023 | 26.18 | 5.63 | 0.21 | - |
| 2024 | 24.89 | 1.91 | 0.08 | - |
| 2025 | 17.72 | 8.41 | 0.47 | - |
| 2026 | 14.30 | 5.78 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-01 | 2023-08-25 | -6.91 | 663 |
| 2024-11-08 | 2025-01-22 | -2.94 | 76 |
| 2025-04-03 | 2025-05-09 | -2.08 | 37 |
| 2024-04-04 | 2024-07-03 | -1.99 | 91 |
| 2026-04-20 | 2026-06-10 | -1.39 | 52 |
| 2024-08-19 | 2024-10-15 | -1.27 | 58 |
| 2026-03-03 | 2026-04-07 | -1.25 | 36 |
| 2023-10-17 | 2023-11-13 | -1.24 | 28 |
| 2026-08-10 | 2026-09-21 | -1.20 | 43 |
| 2026-07-06 | 2026-08-03 | -1.13 | 29 |